Systems of quasi-variational inequalities related to the switching problem

DOI10.1016/j.spa.2018.04.008zbMath1419.35058arXiv1609.02221OpenAlexW2963191265MaRDI QIDQ2419971

Tomasz Klimsiak

Publication date: 4 June 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.02221

zbMATH Keywords

quasi-variational inequalitiesswitching problemsemi-Dirichlet formspenalization scheme

Mathematics Subject Classification ID

Dirichlet forms (31C25) Probabilistic potential theory (60J45) Singular elliptic equations (35J75)

Related Items

Systems of fully nonlinear parabolic obstacle problems with Neumann boundary conditions, Unnamed Item, Non-semimartingale solutions of reflected BSDEs and applications to Dynkin games, Reflected BSDEs with two optional barriers and monotone coefficient on general filtered space, Systems of BSDES with oblique reflection and related optimal switching problems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• BSDEs with monotone generator and two irregular reflecting barriers
• Stochastic representation of entropy solutions of semilinear elliptic obstacle problems with measure data
• Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness
• Reflected BSDEs on filtered probability spaces
• Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type
• The finite horizon optimal multi-modes switching problem: the viscosity solution approach
• Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process
• Renormalized solutions of semilinear equations involving measure data and operator corresponding to Dirichlet form
• Switching problem and related system of reflected backward SDEs
• Dirichlet forms and symmetric Markov processes
• Obstacle problem for evolution equations involving measure data and operator corresponding to semi-Dirichlet form
• Semi-Dirichlet forms and Markov processes
• Obstacle problem for semilinear parabolic equations with measure data
• Multi-dimensional BSDE with oblique reflection and optimal switching
• Cauchy problem for semilinear parabolic equation with time-dependent obstacles: a BSDEs approach
• Dirichlet forms and semilinear elliptic equations with measure data
• The smallest \(g\)-supermartingale and reflected BSDE with single and double \(L^2\) obstacles
• \(L^p\) solutions of backward stochastic differential equations.
• Viscosity solutions for second order integro-differential equations without monotonicity condition: the probabilistic approach
• Semilinear elliptic equations with measure data and quasi-regular Dirichlet forms
• A Finite Horizon Optimal Multiple Switching Problem
• On the Starting and Stopping Problem: Application in Reversible Investments